Optimal scaling of random walk Metropolis algorithms with non-Gaussian proposals

DOI10.1007/s11009-010-9176-9zbMath1237.60060MaRDI QIDQ655925

Gareth O. Roberts, Peter Neal

Publication date: 26 January 2012

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-010-9176-9

zbMATH Keywords

heavy-tailed distributions; Markov Chain Monte Carlo; MCMC; optimal scaling; Cauchy distribution spherical distributions; Random Walk Metropolis; RWM

Mathematics Subject Classification ID

60J22: Computational methods in Markov chains

65C05: Monte Carlo methods

60J05: Discrete-time Markov processes on general state spaces

65C40: Numerical analysis or methods applied to Markov chains

Related Items

Conditional sequential Monte Carlo in high dimensions, Optimal scaling for the transient phase of Metropolis Hastings algorithms: the longtime behavior, Optimal scaling of random walk Metropolis algorithms with discontinuous target densities, Optimal scaling of random-walk Metropolis algorithms on general target distributions, Random walk Metropolis algorithm in high dimension with non-Gaussian target distributions, Optimal scaling for the transient phase of the random walk Metropolis algorithm: the mean-field limit, Complexity bounds for Markov chain Monte Carlo algorithms via diffusion limits

Cites Work

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